NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) released today its CMBS monthly newsletter, CMBS Trend Watch.
In September there was a fair amount of surveillance activity, and KBRA affirmed ratings on 203 classes and upgraded two classes across 21 transactions. The upgrades were effectuated on one Freddie K-Series transaction – FREMF 2012-KF01 (2 classes). There were no ratings downgrades during the month, and six ratings were withdrawn following the full repayment of the related securities. In conjunction with the reviews, 14 KBRA Loans of Concern (K-LOCs) were also highlighted as well as 7 KBRA Performance Outlooks (KPO).
In regard to new issuance trends, KLTVs rose to 103.5% on a trailing three month basis, and the proportion of loans with KLTVs >= 100% reached a new record high of 71.2%. Along with the rise in leverage, KBRA’s Credit Bar-Bell Indicator rose to 11.0% through September. This is up from 10.2% at the time we last tabulated the figure using July 2015 data. However, full term IO exposure declined for the fifth consecutive month to 19.5% from 22.9%, and the combined percentage of full and partial term IO of 65% is relatively in-line with the prior month. This month we included a new section entitled “Other Notable Deal Trends”, which highlights that this past quarter KBRA rated the most number of conduits (11) in its history and the recent trend of smaller transaction sizes coming to market.
In the Publications Corner section, we also highlight our research commentary entitled “And the Survey Says…Polling Results from our Beyond the Credit Metrics Commentary”, which was released earlier in the month. The report included a survey whereby we asked market constituents to rank order the importance of 22 credit factors that our analysts believe could introduce increased credit risk to a transaction. A total of 50 participants responded, most of which were ‘AAA’ investors.
In our commitment to transparency, we updated our comprehensive set of the statistics for our rated conduits along with this issue of Trend Watch within the KBRA Comparative Analytic Tool (KCAT). The file, which is accessible via a link within the Trend Watch publication, enables users to compare data points from all KBRA rated conduits.
To view the report, please click here: www.krollbondratings.com/show_report/3047
About Kroll Bond Rating Agency
KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).